Foreign exchange market efficiency and structural instability: evidence from Taiwan

Article Abstract:

A study, which examined the cointegration between spot and forward rates in Taiwan's foreign exchange market, showed that structural instability in forward markets leads to market efficiency failure. The study also showed a uniform market efficiency when restricted samples with unchanged regimes are used. The study used Gregory and Hansen's linear cointegration method and Stock and Watson's dynamic ordinary least square method to derive the cointegration coefficients.

Economics, Research and Development in the Social Sciences and Humanities, Taiwan, Integration, Functional, Functional integration (Mathematics), Structural stability

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The long-run relation between a black market exchange rate and the trade balance: evidence from Iran

Article Abstract:

The cointegration technique is used in studying the long-term relationship between the black market value of the Iranian rial and the country's trade balance. The results indicate that, in an oil-producing nation such as Iran, the black market depreciation of its currency has an inimical effect on the nation's trade balance. The analysis point to rent-seeking opportunities as the primary reason for the existence of such an adverse reaction to the local economy.

Monetary policy, Balance of trade, Currency devaluation, Devaluation (Currency)

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The black market exchange rate and demand for money in Iran

Article Abstract:

A study is conducted to show that for countries with a black market for foreign currencies, the black market exchange rates rather than the official rates control the money demand function. Data from Iran between 1959 to 1990 is analyzed using the Johansen-Julis cointegration technique and exclusion test. It is argued that currency demand functions for Iran should include real M2, real GDP, inflation rate and black market exchange rate.

Foreign exchange

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